Advanced equity derivatives : volatility and correlation / Se̊bastien Bossu.

Format:

Book

Author/Creator:

Bossu, Sébastien, author.

Series:

Wiley finance series.

Wiley Finance Series

Language:

English

Subjects (All):

Derivative securities.

Physical Description:

1 online resource (172 p.)

Edition:

1st edition

Place of Publication:

Hoboken, New Jersey : John Wiley & Sons, 2014.

Language Note:

English

System Details:

text file

Summary:

"In Advanced Equity Derivatives: Volatility and Correlation, Sebastien Bossu reviews and explains the advanced concepts used for pricing and hedging equity exotic derivatives. Designed for financial modelers, option traders and sophisticated investors, the content covers the most important theoretical and practical extensions of the Black-Scholes model. Each chapter includes numerous illustrations and a short selection of problems, covering key topics such as implied volatility surface models, pricing with implied distributions, local volatility models, volatility derivatives, correlation measures, correlation trading, local correlation models and stochastic correlation. Volatility and correlation are remarkably connected through the author's proxy formula which he discovered in 2004, and shares in the book. He also reveals a new derivation using linear algebra (included in Chapter 6), and the proxy formula is then exploited in the following chapters for correlation trading and correlation modeling. The author has a dual professional and academic background, making Advanced Equity Derivatives: Volatility and Correlation the perfect reference for quantitative researchers and mathematically savvy finance professionals looking to acquire an in-depth understanding of equity exotic derivatives pricing and hedging"-- Provided by publisher.

Contents:

Cover; Title Page; Copyright; Contents; Foreword; Preface; Acknowledgments; Chapter 1 Exotic Derivatives; 1-1 Single-Asset Exotics; 1-1.1 Digital Options; 1-1.2 Asian Options; 1-1.3 Barrier Options; 1-1.4 Lookback Options; 1-1.5 Forward Start Options; 1-1.6 Cliquet Options; 1-2 Multi-Asset Exotics; 1-2.1 Spread Options; 1-2.2 Basket Options; 1-2.3 Worst-Of and Best-Of Options; 1-2.4 Quanto Options; 1-3 Structured Products; References; Problems; 1.1 "Free" Option; 1.2 Autocallable; 1.3 Geometric Asian Option; 1.4 Change of Measure; 1.5 At-the-Money Lookback Options; 1.6 Siegel's Paradox

Appendix 1.A: Change of Measure and Girsanov's TheoremChapter 2 The Implied Volatility Surface; 2-1 The Implied Volatility Smile and Its Consequences; 2-1.1 Consequence for the Pricing of Call and Put Spreads; 2-1.2 Consequence for Hedge Ratios; 2-1.3 Consequence for the Pricing of Exotics; 2-2 Interpolation and Extrapolation; 2-3 Implied Volatility Surface Properties; 2-4 Implied Volatility Surface Models; 2-4.1 A Parametric Model of Implied Volatility: The SVI Model; 2-4.2 Indirect Models of Implied Volatility; References; Problems; 2.1 No Call or Put Spread Arbitrage Condition

2.2 No Butterfly Spread Arbitrage Condition2.3 Sticky True Delta Rule; 2.4 SVI Fit; Chapter 3 Implied Distributions; 3-1 Butterfly Spreads and the Implied Distribution; 3-2 European Payoff Pricing and Replication; 3-3 Pricing Methods for European Payoffs; 3-4 Greeks; References; Problems; 3.1 Overhedging Concave Payoffs; 3.2 Perfect Hedging with Puts and Calls; 3.3 Implied Distribution and Exotic Pricing; 3.4 Conditional Pricing; 3.5 Path-Dependent Payoff; 3.6 Delta; Chapter 4 Local Volatility and Beyond; 4-1 Local Volatility Trees; 4-2 Local Volatility in Continuous Time

4-3 Calculating Local Volatilities4-3.1 Dupire's Equation; 4-3.2 From Implied Volatility to Local Volatility; 4-3.3 Hedging with Local Volatility; 4-4 Stochastic Volatility; 4-4.1 Hedging Theory; 4-4.2 Connection with Local Volatility; 4-4.3 Monte Carlo Method; 4-4.4 Pricing and Hedging Forward Start Options; 4-4.5 A Word on Stochastic Volatility Models with Jumps; References; Problems; 4.1 From Implied to Local Volatility; 4.2 Market Price of Volatility Risk; 4.3 Local Volatility Pricing; Appendix 4.A: Derivation of Dupire's Equation; Chapter 5 Volatility Derivatives; 5-1 Volatility Trading

5-2 Variance Swaps5-2.1 Variance Swap Payoff; 5-2.2 Variance Swap Market; 5-2.3 Variance Swap Hedging and Pricing; 5-2.4 Forward Variance; 5-3 Realized Volatility Derivatives; 5-4 Implied Volatility Derivatives; 5-4.1 VIX Futures; 5-4.2 VIX Options; References; Problems; 5.1 Delta-Hedging P&L Simulation; 5.2 Volatility Trading with Options; 5.3 Fair Variance Swap Strike; 5.4 Generalized Variance Swaps; 5.5 Call on Realized Variance; Chapter 6 Introducing Correlation; 6-1 Measuring Correlation; 6-1.1 Historical Correlation; 6-1.2 Implied Correlation; 6-2 Correlation Matrices

6-3 Correlation Average

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on print version record.

ISBN:

9781118774717

111877471X

9781118835364

1118835360

9781118774847

1118774841

OCLC:

905245049